Author:
Fan Rui,Lee Ji Hyung,Shin Youngki
Funder
Social Sciences and Humanities Research Council of Canada
Xiamen University
Compute Canada
Subject
Applied Mathematics,Economics and Econometrics
Reference63 articles.
1. LASSO inference for high-dimensional time series;Adamek,2020
2. The pricing of tail risk and the equity premium: Evidence from international option markets;Andersen;J. Bus. Econom. Statist.,2020
3. Regularized estimation in sparse high-dimensional time series models;Basu;Ann. Statist.,2015
4. ℓ1-Penalized quantile regression in high-dimensional sparse models;Belloni;Ann. Statist.,2011
5. A new robust inference for predictive quantile regression;Cai;J. Econometrics,2022